Campbell Core Correlations

CCCFX Fund

USD 20.16 0.02 0.1%

The current 90-days correlation between Campbell Core Carry and Vanguard Total Bond is -0.13 (i.e., Good diversification). The correlation of Campbell Core is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Campbell Core Correlation With Market

Very poor diversification

The correlation between Campbell Core Carry and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Campbell Core Carry and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Campbell Core Carry. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Campbell Mutual Fund

0.72	VTSAX	Vanguard Total Stock	Pair Corr
0.69	VFIAX	Vanguard 500 Index	Pair Corr
0.72	VTSMX	Vanguard Total Stock	Pair Corr
0.72	VSTSX	Vanguard Total Stock	Pair Corr
0.72	VITSX	Vanguard Total Stock	Pair Corr
0.72	VSMPX	Vanguard Total Stock	Pair Corr
0.89	VTIAX	Vanguard Total Inter	Pair Corr
0.69	VFINX	Vanguard 500 Index	Pair Corr
0.69	VFFSX	Vanguard 500 Index	Pair Corr
0.82	PFN	Pimco Income Strategy	Pair Corr
0.93	STSIX	American Beacon Stephens	Pair Corr
0.91	ABSIX	Ab Discovery Value	Pair Corr
0.89	FIMPX	Nuveen Small Cap	Pair Corr
0.95	CIESX	Calvert International	Pair Corr
0.9	CDDYX	Columbia Dividend Income	Pair Corr
0.71	BASMX	Blackrock Total Stock	Pair Corr
0.82	JATAX	Janus Global Technology	Pair Corr
0.89	IREIX	Ivy Advantus Real	Pair Corr
0.92	CFNLX	National Tax	Pair Corr
0.97	JVMIX	John Hancock Disciplined	Pair Corr
0.84	PRILX	Parnassus Equity Incme	Pair Corr

Moving against Campbell Mutual Fund

0.7	XNBHX	Neuberger Berman Int	Pair Corr
0.67	XNXJX	Nuveen New Jersey	Pair Corr
0.56	XDSMX	Dreyfus Strategic	Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VSTSX	VITSX	VSMPX	VTIAX	VFINX	VFFSX	VBTLX
VTSAX		0.89	0.89	1.0	0.89	0.89	0.81	0.88	1.0	0.21	VTSAX
VFIAX	0.89		1.0	0.89	1.0	1.0	0.81	1.0	0.88	0.31	VFIAX
VTSMX	0.89	1.0		0.89	1.0	1.0	0.84	0.99	0.87	0.29	VTSMX
VSTSX	1.0	0.89	0.89		0.89	0.89	0.81	0.88	1.0	0.21	VSTSX
VITSX	0.89	1.0	1.0	0.89		1.0	0.85	0.99	0.87	0.29	VITSX
VSMPX	0.89	1.0	1.0	0.89	1.0		0.85	0.99	0.87	0.29	VSMPX
VTIAX	0.81	0.81	0.84	0.81	0.85	0.85		0.82	0.77	-0.01	VTIAX
VFINX	0.88	1.0	0.99	0.88	0.99	0.99	0.82		0.87	0.3	VFINX
VFFSX	1.0	0.88	0.87	1.0	0.87	0.87	0.77	0.87		0.22	VFFSX
VBTLX	0.21	0.31	0.29	0.21	0.29	0.29	-0.01	0.3	0.22		VBTLX
	VTSAX	VFIAX	VTSMX	VSTSX	VITSX	VSMPX	VTIAX	VFINX	VFFSX	VBTLX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

VSTSX	+ 1.0	VTSAX
VFFSX	+ 1.0	VTSAX
VTSMX	+ 1.0	VFIAX
VITSX	+ 1.0	VFIAX
VSMPX	+ 1.0	VFIAX
VFINX	+ 1.0	VFIAX

High negative correlations

VBTLX

- 0.01

VTIAX

Risk-Adjusted Indicators

There is a big difference between Campbell Mutual Fund performing well and Campbell Core Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Campbell Core's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VTSAX	0.57	0.05	0.00	0.46	0.78	(0.55)	1.15	(1.22)	3.55
VFIAX	0.54	0.00	(0.02)	0.07	0.75	(0.52)	1.16	(1.17)	3.61
VTSMX	0.56	0.00	(0.02)	0.06	0.75	(0.56)	1.15	(1.23)	3.56
VSTSX	0.57	0.05	0.00	0.46	0.78	(0.55)	1.15	(1.22)	3.55
VITSX	0.56	0.00	(0.02)	0.06	0.75	(0.56)	1.15	(1.23)	3.55
VSMPX	0.56	0.00	(0.02)	0.06	0.75	(0.56)	1.15	(1.22)	3.55
VTIAX	0.56	0.10	0.11	0.23	0.49	(0.62)	1.28	(1.18)	3.84
VFINX	0.54	0.00	(0.02)	0.06	0.77	(0.52)	1.16	(1.17)	3.61
VFFSX	0.55	0.05	(0.01)	0.51	0.77	(0.52)	1.16	(1.17)	3.61
VBTLX	0.15	(0.02)	0.00	(0.34)	0.00	0.00	0.21	(0.31)	0.82

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